Search found 64 matches

by d952
Mon Mar 10, 2014 9:00 am
Forum: Estimation
Topic: Outlier detection in Eviews 7?
Replies: 9
Views: 6298

Re: Outlier detection in Eviews 7?

I mean in general I am not sure how to correct the data, do you think only excluding the outlier can be an appropriate solution?
by d952
Sun Mar 09, 2014 4:36 pm
Forum: Estimation
Topic: Outlier detection in Eviews 7?
Replies: 9
Views: 6298

Re: Outlier detection in Eviews 7?

Depends on the type of nonlinearity. Influence statistics will still be of use where you can estimate your model via NLS. In case of Markov-type switching or GARCH-type conditional variance models, however, they will not work. Outliers are specific to the model at hand regardless of the linearity a...
by d952
Thu Mar 06, 2014 3:14 am
Forum: Econometric Discussions
Topic: Error distribution in GARCH models
Replies: 6
Views: 4152

Re: Error distribution in GARCH models

First of all, the mean equation is not stationary. You can add exogenous variables or use autoregressive lags to ensure the stationarity. If GARCH(1,1) model is still not able to capture the serial correlation, then it might call for a use of higher order model. This is usually the sign of time var...
by d952
Tue Mar 04, 2014 8:26 am
Forum: Estimation
Topic: Outlier detection in Eviews 7?
Replies: 9
Views: 6298

Re: Outlier detection in Eviews 7?

Yes, it is. But it may require extensive programming. I also suggest the following approach: http://www.economics.ox.ac.uk/Nuffield-College-Economics-Working-Papers/outlier-detection-in-garch-models Thanks Trubador, the Influence Statistics that are built in Eviews to detect the outliers are suitab...
by d952
Tue Mar 04, 2014 6:47 am
Forum: Estimation
Topic: Outlier detection in Eviews 7?
Replies: 9
Views: 6298

Re: Outlier detection in Eviews 7?

Hi Trubador, is it possible to perform outlier detection in GARCH type models with Eviews? for example based on Franses (1999) method... Im using Eviews 8, thank you.
by d952
Mon Mar 03, 2014 3:53 pm
Forum: Econometric Discussions
Topic: Regularity condition in GARCH models
Replies: 3
Views: 1912

Re: Regularity condition in GARCH models

It corresponds to E(c1t,c2t), which is equal to gamma11*gamma21 under certain conditions. If you are interested, you can also refer to Ling, S. and McAleer, M. (2002). "Necessary and Sufficient Moment Conditions for the GARCH(r,s) and Asymmetric Power GARCH(r,s) Models. Econometric Theory, v. ...
by d952
Mon Mar 03, 2014 11:25 am
Forum: Econometric Discussions
Topic: Regularity condition in GARCH models
Replies: 3
Views: 1912

Re: Regularity condition in GARCH models

I read the paper by Trasvirta (1997) who explain how to calculate the fourth moment structure for GARCH(2,2) models but in the formula there is one thing that I dont undrestand, I attach the paper here, in that paper, equation number 36 is what I need, I undrestand it but my i dont know what is gama...
by d952
Mon Mar 03, 2014 9:53 am
Forum: Econometric Discussions
Topic: Regularity condition in GARCH models
Replies: 3
Views: 1912

Regularity condition in GARCH models

Hi, I want to test if regularity condition is satisfied in my GARCH models or not, as I know in a GARCH(1,1) model (Alpha+beta)<1 verifies the second moment condition and (3*Alpha^2+2(alpha*beta)+Alpha*beta)<1 vefiries the fourth moment condition. But the problem is that I am estimating GARCH(2,1) a...
by d952
Thu Feb 27, 2014 7:03 am
Forum: Program Repository
Topic: Gregory-Hansen Cointegration Test
Replies: 105
Views: 95396

Re: Gregory-Hansen Cointegration Test

Hi Trabadur, would you please tell me in this test number of observation matter? for example my data sample contains 5000 observations, can I use Gregory and Hansen test?
Thank you in advance
by d952
Wed Feb 26, 2014 2:01 am
Forum: Econometric Discussions
Topic: Error distribution in GARCH models
Replies: 6
Views: 4152

Re: Error distribution in GARCH models

First of all, the mean equation is not stationary. You can add exogenous variables or use autoregressive lags to ensure the stationarity. If GARCH(1,1) model is still not able to capture the serial correlation, then it might call for a use of higher order model. This is usually the sign of time var...
by d952
Tue Feb 25, 2014 2:23 am
Forum: Econometric Discussions
Topic: Error distribution in GARCH models
Replies: 6
Views: 4152

Re: Error distribution in GARCH models

GARCH is a flexible model and therefore there is no way to detect errors (if any) without seeing other diagnostics. You should either share the workfile along with your specifications or provide more output. Thank you very much for your reply. Here I attach my workfile, I am estimating volatility f...
by d952
Mon Feb 24, 2014 10:57 am
Forum: Econometric Discussions
Topic: Error distribution in GARCH models
Replies: 6
Views: 4152

Error distribution in GARCH models

Hi, I have a question regarding to the chosing error distribution for ARCH/GARCH type models. As I know, if a time series has fat tail, then it is not normally distributed and students t error distribution is more appropriate for that, but in my data when I estimate the volatility with students t I ...
by d952
Thu Feb 13, 2014 4:21 am
Forum: Data Manipulation
Topic: continuous future contracts
Replies: 35
Views: 7317

Re: Create continuous future contracts

My last comment was that I thanked you, it works perfectly and Im trying to modify it to the whole sample. I dont know how the above comment appeared here (about being more precise) it was one of your comments that you told me before but I really dont know how it appears here again :D thanks again I...
by d952
Wed Feb 12, 2014 7:53 am
Forum: Data Manipulation
Topic: continuous future contracts
Replies: 35
Views: 7317

Re: Create continuous future contracts

[quote="EViews Glenn"]Thanks. I think you're still going to have to be more precise about what you want done.
by d952
Tue Feb 11, 2014 9:12 am
Forum: Data Manipulation
Topic: continuous future contracts
Replies: 35
Views: 7317

Re: Create continuous future contracts

Thank you very much for you help.

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